|axxi, 488 p. :|bill. ;|c24 cm. +|e1 CD-ROM (4 3/4 in.)
|aAcademic Press advanced finance series
|aIncludes bibliographical references (p. -471) and index.
|aIntroduction -- pt. I. Heuristics and representativeness: experimental evidence -- Representativeness and Bayes Rule: psychological perspective -- Representativeness and bayes rule: economics perspective -- A simple asset pricing model featuring representativeness -- Heterogeneous judgements in experiments -- pt. II. Heuristics and representatives: investor expectations -- Representativeness and heterogeneous beliefs among individual investors, financial executives, and academics -- Representativeness and heterogeneity in the judgments of professional investors -- pt. III. Developing behavioral asset pricing models -- A simple asset pricing model with heterogeneous beliefs -- Heterogeneous beliefs and inefficient markets -- A simple market model of prices and trading volume -- Efficiency and entropy : long-run dynamics -- pt. IV. Heterogeneity in risk tolerance and time discounting -- CRRA and CARA utility functions -- Heterogeneous risk tolerance and time preference -- Representative investors in a heterogeneous CRRA model -- pt. V. Sentiment and behavioral SDF -- Sentiment -- Behavioral SDF and the sentiment premium -- pt. VI. Applications of behavioral SDF -- Behavioral betas and mean-variance portfolios -- Cross-section of return expectations -- Testing for a sentiment premium -- A behavioral approach to the term structure of interest rates -- Behavioral black-scholes -- Irrational exuberance and option smiles -- Empirical evidence in support of behavioral SDF -- pt. VII. Prospect theory -- Prospect theory : introduction -- Behavioral portfolios -- Prospect theory equilibrium -- Pricing and prospect theory : empirical studies -- Reflections on the equity premium puzzle -- Closure -- pt. VIII. Closure -- Conclusion.